cor2cov: Converting a correlation matrix into a covariance matrix

In propagate: Propagation of Uncertainty

Description

Converts a correlation matrix into a covariance matrix using variance information. It is therefore the opposite of cov2cor.

Usage

cor2cov(C, var)

Arguments

C	a symmetric numeric correlation matrix \mathbf{C}.
var	a vector of variances σ_n^2.

Details

Calculates the covariance matrix \mathbf{Σ} using a correlation matrix \mathbf{C} and outer products of the standard deviations σ_n:

\mathbf{Σ} = \mathbf{C} \cdot σ_n \otimes σ_n

Value

The corresponding covariance matrix.

Author(s)

Andrej-Nikolai Spiess

Examples

## Example in Annex H.2 from the GUM 2008 manual
## (see 'References'), simultaneous resistance
## and reactance measurement.
data(H.2)
attach(H.2)

## Original covariance matrix.
COV <- cov(H.2)
## extract variances
VAR <- diag(COV)

## cor2cov covariance matrix.
COV2 <- cor2cov(cor(H.2), VAR) 

## Equal to original covariance matrix.
all.equal(COV2, COV)

Example output

Loading required package: MASS
Loading required package: tmvtnorm
Loading required package: mvtnorm
Loading required package: Matrix
Loading required package: stats4
Loading required package: gmm
Loading required package: sandwich
Loading required package: Rcpp
Loading required package: ff
Loading required package: bit
Attaching package bit
package:bit (c) 2008-2012 Jens Oehlschlaegel (GPL-2)
creators: bit bitwhich
coercion: as.logical as.integer as.bit as.bitwhich which
operator: ! & | xor != ==
querying: print length any all min max range sum summary
bit access: length<- [ [<- [[ [[<-
for more help type ?bit

Attaching package: 'bit'

The following object is masked from 'package:base':

    xor

Attaching package ff
- getOption("fftempdir")=="/work/tmp/tmp/Rtmpbd0XpW"

- getOption("ffextension")=="ff"

- getOption("ffdrop")==TRUE

- getOption("fffinonexit")==TRUE

- getOption("ffpagesize")==65536

- getOption("ffcaching")=="mmnoflush"  -- consider "ffeachflush" if your system stalls on large writes

- getOption("ffbatchbytes")==16777216 -- consider a different value for tuning your system

- getOption("ffmaxbytes")==536870912 -- consider a different value for tuning your system


Attaching package: 'ff'

The following objects are masked from 'package:bit':

    clone, clone.default, clone.list

The following objects are masked from 'package:utils':

    write.csv, write.csv2

The following objects are masked from 'package:base':

    is.factor, is.ordered

Loading required package: minpack.lm
[1] TRUE

propagate documentation built on May 2, 2019, 5:39 a.m.